Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0136
Annualized Std Dev 0.2448
Annualized Sharpe (Rf=0%) 0.0557

Row

Daily Return Statistics

Close
Observations 4033.0000
NAs 1.0000
Minimum -0.1178
Quartile 1 -0.0059
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0074
Maximum 0.1419
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0154
Skewness -0.4059
Kurtosis 10.2649

Downside Risk

Close
Semi Deviation 0.0114
Gain Deviation 0.0107
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0158
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.6733
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0388
Modified VaR (95%) -0.0237
Modified ES (95%) -0.0445
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6733 3369 339 NA
2006-05-11 2006-06-13 2006-10-04 -0.1406 102 23 79
2007-07-13 2007-08-16 2007-10-11 -0.1305 64 25 39
2007-02-27 2007-03-05 2007-04-02 -0.0774 25 5 20
2005-09-12 2005-10-20 2005-12-09 -0.0708 63 28 35

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA -0.7 1.1 0.4 0.1 1.3 1.6 -0.1 0.1 1.7 -0.5 5
2006 0 0.9 -0.6 -0.3 1 1.4 -0.5 0.5 -0.1 -0.2 -0.4 -0.4 1.4
2007 0.7 -1.4 0.2 0 0.5 0.7 0.7 2.1 1 -2.4 0.5 -1 1.5
2008 1.4 -2.4 2.7 0.9 0.1 -1.4 -1.3 -0.4 -0.6 1.5 -8.9 0.7 -8
2009 -0.5 -0.4 2.6 1.7 2.4 2 1.8 -3.3 -3.2 -4.1 2.7 -1 0.4
2010 2.5 0.3 1.8 -1.7 -0.8 2 -0.1 4 1.3 -0.6 3.4 1.1 13.7
2011 2.2 -1.9 1.3 0.3 -2.6 1 -1.7 -1.4 -4 -4.2 -1.1 0.3 -11.3
2012 2.1 1.3 1.1 0.9 -2.3 4.6 0.2 1.2 1.1 1.1 0 2 14
2013 1 -0.3 -0.6 -0.6 -1.9 1.2 1 -1 0.7 -0.6 0.4 0.3 -0.5
2014 -1.4 0.4 0.8 0.1 0.1 0.8 -0.9 0.1 -1.1 1.1 -0.1 -0.7 -0.8
2015 -1.7 0.1 1 0.8 -0.6 0.5 0.6 -2.8 0 0 0.8 -1.4 -2.8
2016 -0.1 2.8 -0.7 -0.3 -0.1 0.1 -1.1 0.8 1.2 -0.4 -0.2 0.5 2.6
2017 0.3 1 0.3 0.4 0.7 0.1 0.6 0.2 0.8 -0.1 -0.4 0.1 4
2018 0.2 -1.1 0.7 -0.6 0.8 1.1 -0.7 -1.1 0.1 1.6 -0.6 0.5 0.8
2019 0.1 0.7 1.3 -0.8 -0.9 0.4 -0.4 0.5 -1.1 0.8 -0.6 0.7 0.6
2020 -1.5 -0.7 -4.4 -2.1 2.3 0.8 -2.1 -0.1 0.8 -0.3 2.5 -1.2 -6.2
2021 1.3 1.7 0.1 NA NA NA NA NA NA NA NA NA 3.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-03-10  50.9 SPY    121.  0.0022   0.0002   0.0086   0.0206   0.0769   0.0341   -0.141 GLD    44.2  0.0041   0.0286
2 2005-03-11  50.9 SPY    120. -0.007   -0.0191   0.0091   0.0099   0.0834   0.0275   -0.139 GLD    44.4  0.0052   0.0242
3 2005-03-14  50.8 SPY    121.  0.0062  -0.0134   0.0117   0.0152   0.076    0.044    -0.116 GLD    44.0 -0.009    0.0129
4 2005-03-15  50.7 SPY    120. -0.0083  -0.0179  -0.0052  -0.0019   0.0804   0.0368   -0.122 GLD    44.1  0.0007   0.0007
5 2005-03-16  50.5 SPY    119. -0.0085  -0.0153  -0.0129  -0.0138   0.0656   0.0212   -0.154 GLD    44.3  0.0057   0.0066
6 2005-03-17  50.5 SPY    119.  0.002   -0.0155  -0.0146  -0.0126   0.0559   0.0231   -0.149 GLD    43.8 -0.0111  -0.0086
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart